Using nonparametric ICSS algorithm to detect structural breaks of volatility, the author has made research on structural breaks and liquidity risk models and provides a detailed comparative analysis of effects on ratio of stock-based pledge loans for inventory financing under structural breaks among different holding periods and different risk models by taking China eastern silk market as research object. The author draws two conclusions. Firstly, VaR model added liquidity risk can measure the aggregate risk more precisely for stock-based pledge. The greater liquidity risk that account for aggregate risks, the shorter period that inventories are held, vice versa. Secondly, significant structural breaks for volatility and liquidity risk existing in inventories commodity market cannot be ignored. These models added the liquidity risk can measure more precisely market risk, liquidity risk and the ratio of stock-based pledge loans.
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